On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes
dc.contributor.author
Hefter, Mario
dc.contributor.author
Jentzen, Arnulf
dc.date.accessioned
2019-03-14T09:34:03Z
dc.date.available
2018-10-25T08:38:20Z
dc.date.available
2018-10-25T09:18:30Z
dc.date.available
2019-03-14T09:30:56Z
dc.date.available
2019-03-14T09:34:03Z
dc.date.issued
2019-01
dc.identifier.issn
0949-2984
dc.identifier.issn
1432-1122
dc.identifier.other
10.1007/s00780-018-0375-5
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/298722
dc.language.iso
en
en_US
dc.publisher
Springer
en_US
dc.subject
Cox–Ingersoll–Ross process
en_US
dc.subject
Squared Bessel process
en_US
dc.subject
Stochastic differential equation
en_US
dc.subject
Strong (pathwise) approximation
en_US
dc.subject
Lower error bound
en_US
dc.subject
Optimal approximation
en_US
dc.title
On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes
en_US
dc.type
Journal Article
dc.date.published
2018-10-22
ethz.journal.title
Finance and Stochastics
ethz.journal.volume
23
en_US
ethz.journal.issue
1
en_US
ethz.journal.abbreviated
Finance stoch.
ethz.pages.start
139
en_US
ethz.pages.end
172
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C2 - Single Equation Models; Single Variables::C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling::C63 - Computational Techniques; Simulation Modeling
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G1 - General Financial Markets::G17 - Financial Forecasting and Simulation
en_US
ethz.grant
Numerical approximations of nonlinear stochastic ordinary and partial differential equations
en_US
ethz.identifier.scopus
ethz.publication.place
Berlin
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03951 - Jentzen, Arnulf (ehemalig) / Jentzen, Arnulf (former)
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03951 - Jentzen, Arnulf (ehemalig) / Jentzen, Arnulf (former)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03951 - Jentzen, Arnulf (ehemalig) / Jentzen, Arnulf (former)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03951 - Jentzen, Arnulf (ehemalig) / Jentzen, Arnulf (former)
ethz.grant.agreementno
156603
ethz.grant.fundername
SNF
ethz.grant.funderDoi
10.13039/501100001711
ethz.grant.program
Projektförderung in Mathematik, Natur- und Ingenieurwissenschaften (Abteilung II)
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20.500.11850/233553
ethz.date.deposited
2018-10-25T08:38:21Z
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FORM
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yes
en_US
ethz.availability
Metadata only
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2019-03-14T09:31:46Z
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2020-02-15T17:50:34Z
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